Opening and closing effects of China’s stock market of Shanghai and Shenzhen
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F830.9

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    Abstract:

    The calendar effects of stock markets have attracted extensive attention from scholars and investors. Many studies have found the holiday effects,the month effects and the weekday effects of stock markets; however,few studies focus on the intraday effects. Using high frequency data of China’s stock index returns in 2014 - 2016,this paper empirically examines the intraday effects of China’s stock market. Results indicate the overall existence of the opening and closing effects in China’s stock market. However,the opening and closing effects exhibit different performances between bear markets and bull markets. Stock index return has positive opening effects during bull markets and negative opening effects during bear markets,while the stock index volatility has more obvious opening and closing effects during bear markets than during bull markets. The study,using rolling windows,further shows that the changes in the opening and closing effects of stock index return occur earlier than stock index and that the opening or closing effects of stock index return and volatility exhibit the substitution to some extent. Our study can help investors to develop investment strategy more rationally and provide certain references for the regulation and maintenance of market order.

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  • Received:
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  • Online: October 25,2021
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